Similar Search Results

Testing for the best alternative with an application to performance measurement

Frahm, Gabriel - 2007

Suppose that we are searching for the maximum of many unknown and analytically untractable quantities or, say, the 'best alternative' among several candidates. If our decision is based on historical or simulated data there is some sort of selection bias and it is not evident if our choice is...

Persistent link: https://www.econbiz.de/10010304419

Investors' direct stock holdings and performance evaluation for mutual funds

Breuer, Wolfgang; Gürtler, Marc - 2004

Investors need performance measures particularly as a means for funds selection in the process of exante portfolio optimization. Unfortunately, there are various performance measures recommended for different decision situations. Since an investor may be uncertain which kind of decision problem...

Persistent link: https://www.econbiz.de/10010307957

An intersection-union test for the sharpe ratio

Frahm, Gabriel - In: Risks 6 (2018) 2, pp. 1-13

An intersection-union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection-union test takes serial dependence into account and does...

Persistent link: https://www.econbiz.de/10011996598

The outperformance probability of mutual funds

Frahm, Gabriel; Huber, Ferdinand - In: Journal of Risk and Financial Management 12 (2019) 3, pp. 1-29

We propose the outperformance probability as a new performance measure, which can be used in order to compare a strategy with a specified benchmark, and develop the basic statistical properties of its maximum-likelihood estimator in a Brownian-motion framework. The given results are used to...

Persistent link: https://www.econbiz.de/10012611179

Fishing for Excuses and Performance Evaluation

Larmande, François; Ponssard, Jean-Pierre - 2014

We study a principal-agent model in which the agent can provide ex post additional relevant information regarding his performance. In particular, he can provide a legitimate excuse, that is, evidence that a poor result is only due to factors outside his control. However, building a convincing...

Persistent link: https://www.econbiz.de/10010328856

Precision and Manipulation of Non‐financial Information: The Curious Case of Environmental Liability

Grahn, Aline - In: Abacus 56 (2020) 4, pp. 495-534

distinguish between a negligence regime and strict liability. The results suggest that if there is no manipulation but only a lack …. While manipulation makes it easier for shareholders to escape liability under a negligence regime, shareholders suffer from … manipulation under strict liability due to higher actual pollution and higher expected damage compensation payments. Therefore, the …

Persistent link: https://www.econbiz.de/10012509521

Explaining Hedge Fund Investment Styles by Loss Aversion

Siegmann, Arjen; Lucas, André - 2002

Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...

Persistent link: https://www.econbiz.de/10010324945

Does Social Pension Insurance Increase the Efficiency of Household Financial Portfolios?

Liu, Xueying; Zhao, Zhong - 2024

This study investigates the impact of social pension insurance on the efficiency of household financial portfolios, utilizing data from the 2019 wave of the China Household Finance Survey. Our findings indicate that social pension insurance significantly enhances the efficiency of household...

Persistent link: https://www.econbiz.de/10015210910

The expected sharpe ratio of efficient portfolios under estimation errors

Benjlijel, Bacem; Mansali, Hatem - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-16

This paper aims to develop a feasible estimator of the Sharpe ratio that the investor would expect from estimated efficient portfolios. Based on the analytical expression of the expected Sharpe ratio, we construct an estimator that captures all the errors involved in the estimated efficient...

Persistent link: https://www.econbiz.de/10014001458

A generalized entropy approach to portfolio selection under a hidden markov model

MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-25

This paper develops a dynamic portfolio selection model incorporating economic uncertainty for business cycles. It is assumed that the financial market at each point in time is defined by a hidden Markov model, which is characterized by the overall equity market returns and volatility. The risk...

Persistent link: https://www.econbiz.de/10014332538